JISMONIY SHAXSLARNI KREDITLASHDA KREDIT RISKINI BAHOLASH VA KREDIT SKORING METODOLOGIYASI: XORIJIY TAJRIBA VA O‘ZBEKISTON UCHUN XULOSALAR
DOI:
https://doi.org/10.5281/zenodo.22640367Abstract
Jismoniy shaxslarni kreditlashda kredit riskini baholash va kredit skoring metodologiyasining
nazariy asoslari, klassik va zamonaviy modellari hamda xorijiy tajribasi kompleks tarzda tadqiq etilgan.
Bazel qo‘mitasi tomonidan ishlab chiqilgan PD (Probability of Default), LGD (Loss Given Default) va EAD
(Exposure at Default) komponentlariga asoslangan baholash tizimi, IFRS 9 doirasida kutilayotgan kredit
yo‘qotishlarini (EL = PD × LGD × EAD) hisoblash yondashuvi, shuningdek, DTI, DSTI va LTV kabi qarz
yuklamasi ko‘rsatkichlarining kredit riskini baholashdagi ahamiyati ilmiy jihatdan yoritilgan. Kredit skoring
modellarining evolyutsiyasi D. Durandning 1941-yildagi va E. Altmanning 1968-yildagi diskriminant tahliliga
asoslangan yondashuvlaridan T. Chen va C. Guestrin tomonidan 2016-yilda ishlab chiqilgan XGBoost algoritmi
hamda zamonaviy chuqur neyron tarmoqlarigacha bo‘lgan rivojlanish bosqichlari asosida tahlil qilingan.
AQSh, Buyuk Britaniya, Germaniya, Xitoy, Hindiston, Janubiy Koreya, Singapur, Turkiya va Rossiyaning
kredit riskini baholash hamda kredit skoring tizimlarini qo‘llash tajribasi qiyosiy tahlil qilingan va O‘zbekiston
bank amaliyoti uchun tegishli xulosalar shakllantirilgan. Xalqaro tajriba asosida O‘zbekiston sharoitida kredit
skoring metodologiyasini takomillashtirish, muqobil ma’lumotlardan foydalanish imkoniyatlarini kengaytirish
hamda jismoniy shaxslarning kredit riskini baholash samaradorligini oshirishga qaratilgan ilmiy-amaliy
tavsiyalar ishlab chiqilgan.
Keywords
kredit skoring, kredit riski, PD, LGD, EAD, IFRS 9, mashinaviy o‘rganish, XGBoost, DTI, DSTI, LTV, kredit byurosi, xorijiy tajriba, moliyaviy inklyuziya.References
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